| Close | |
|---|---|
| Annualized Return | -0.0290 |
| Annualized Std Dev | 0.1611 |
| Annualized Sharpe (Rf=0%) | -0.1797 |
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1013 |
| Quartile 1 | -0.0042 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0043 |
| Maximum | 0.1915 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0101 |
| Skewness | 0.4762 |
| Kurtosis | 36.0100 |
| Close | |
|---|---|
| Semi Deviation | 0.0073 |
| Gain Deviation | 0.0081 |
| Loss Deviation | 0.0086 |
| Downside Deviation (MAR=210%) | 0.0123 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.5778 |
| Historical VaR (95%) | -0.0127 |
| Historical ES (95%) | -0.0245 |
| Modified VaR (95%) | -0.0080 |
| Modified ES (95%) | -0.0080 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-02-05 | 2008-12-09 | NA | -0.5778 | 5567 | 2477 | NA |
| 1999-01-21 | 1999-01-22 | 1999-02-03 | -0.0154 | 10 | 2 | 8 |
| 1999-01-11 | 1999-01-11 | 1999-01-12 | -0.0077 | 2 | 1 | 1 |
| 1999-01-13 | 1999-01-13 | 1999-01-14 | -0.0077 | 2 | 1 | 1 |
| 1999-01-15 | 1999-01-15 | 1999-01-19 | -0.0077 | 2 | 1 | 1 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0.8 | -2.6 | -2.5 | -0.9 | 0 | 0 | -0.9 | 0 | 1 | 3.1 | 0 | -2.1 |
| 2000 | 2.1 | 1.1 | 1.1 | 0 | 0 | 0 | 0 | 1 | -1 | 3.1 | 1 | 0 | 8.6 |
| 2001 | -0.2 | 0 | 0 | 0.6 | 0.9 | -0.6 | -0.5 | 0.5 | 0.8 | 1.3 | -0.6 | 0 | 2.2 |
| 2002 | -1.2 | -0.8 | 0.2 | 0.5 | 0.2 | 0.3 | 0.3 | 1 | -0.2 | 0.5 | 0.5 | 0.2 | 1.3 |
| 2003 | -0.2 | 0.6 | 0.2 | 0.8 | 0 | 0.6 | -1.1 | 0.3 | 0.8 | -0.5 | 0.2 | 0 | 1.7 |
| 2004 | 0.6 | -0.3 | 0.1 | 0.8 | 0.2 | 1.3 | 0.3 | -0.4 | 0 | -0.1 | -0.3 | 0.6 | 2.7 |
| 2005 | 0 | 0 | 0 | 0 | 0 | 1.1 | 0 | 0.8 | 0.3 | -0.5 | 0 | 0.5 | 2.2 |
| 2006 | -0.2 | -0.3 | 0 | -0.2 | 0 | 0.3 | 0 | 0.2 | 0.2 | 0.2 | 0.2 | -0.5 | -0.1 |
| 2007 | 0.6 | -0.5 | 0.2 | -0.2 | -0.3 | 0.6 | -0.3 | 1.4 | 0.6 | 0.2 | 1.1 | -0.2 | 3.3 |
| 2008 | -0.2 | -0.5 | 0.3 | 0.8 | 0 | 0.5 | 0 | 1.2 | -5.4 | 1.4 | -1 | 7.1 | 4 |
| 2009 | -0.2 | 2.4 | 0.5 | 2.3 | 2.7 | 1 | 3.2 | -0.4 | 0.2 | -0.5 | 0.8 | 0.3 | 13 |
| 2010 | 1.1 | 0.4 | 0 | -0.5 | 0.5 | 0.3 | 0.5 | 0.8 | 1.1 | -0.2 | 0.8 | 1.6 | 6.6 |
| 2011 | 0 | 0.5 | -1 | 0.8 | 0.5 | 0 | 0.2 | 2.8 | -0.2 | -1.4 | -2.6 | 0.6 | 0.1 |
| 2012 | 0.4 | 0.8 | 0.6 | 0.8 | 0.2 | 1.6 | 0.6 | 0.2 | 0 | 0.8 | 0.2 | 1 | 7.3 |
| 2013 | 0.6 | -0.4 | 0 | 0 | -0.4 | 0.2 | -1 | -0.2 | 0.4 | 0.4 | 0.2 | -0.8 | -1 |
| 2014 | 0.4 | -0.2 | -0.8 | 0.2 | 0.6 | 0 | 0 | 0 | 0 | 0 | -0.4 | -2.2 | -2.4 |
| 2015 | -0.4 | 0.8 | -0.2 | 0.2 | -0.2 | -0.2 | 0.6 | -1.1 | -0.7 | 0.4 | -0.9 | 0.2 | -1.3 |
| 2016 | 0.5 | 1.2 | 0 | 0 | 0 | 0.7 | 0.2 | 0 | 0 | 0.5 | 0.2 | 1.3 | 4.7 |
| 2017 | -0.4 | -0.2 | 0.9 | 0.2 | -0.4 | -0.2 | 0 | 0 | 0 | 0.4 | -0.4 | 0.6 | 0.4 |
| 2018 | 0.6 | -0.8 | 0.4 | 0.2 | 0.2 | 0.2 | -0.9 | -0.4 | 0.2 | 0.2 | 0.2 | -0.2 | 0 |
| 2019 | 0.9 | 0.5 | 0 | 0.2 | -1.3 | 0.2 | 0 | 0.2 | 0.7 | -0.2 | -0.2 | -0.2 | 0.7 |
| 2020 | 0.2 | -4.2 | -8.3 | 1.2 | 0.9 | 1.5 | 0.5 | 1.4 | 0.2 | -0.2 | 0 | 1.7 | -5.5 |
| 2021 | -0.2 | 1.4 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |